Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0644
Annualized Std Dev 0.2527
Annualized Sharpe (Rf=0%) 0.2549

Row

Daily Return Statistics

Close
Observations 3304.0000
NAs 1.0000
Minimum -0.1585
Quartile 1 -0.0051
Median 0.0009
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0068
Maximum 0.2443
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0159
Skewness 0.6739
Kurtosis 28.2066

Downside Risk

Close
Semi Deviation 0.0114
Gain Deviation 0.0122
Loss Deviation 0.0131
Downside Deviation (MAR=210%) 0.0156
Downside Deviation (Rf=0%) 0.0112
Downside Deviation (0%) 0.0112
Maximum Drawdown 0.6297
Historical VaR (95%) -0.0226
Historical ES (95%) -0.0387
Modified VaR (95%) -0.0136
Modified ES (95%) -0.0136
From Trough To Depth Length To Trough Recovery
2007-06-05 2008-11-20 2013-10-18 -0.6297 1507 370 1137
2020-01-17 2020-03-23 2020-11-24 -0.4218 217 45 172
2015-06-26 2016-02-11 2017-05-25 -0.2326 465 145 320
2018-09-24 2018-12-24 2019-04-16 -0.2144 123 46 77
2014-09-22 2014-10-15 2014-11-18 -0.1223 36 15 21

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA -0.1 -0.5 -0.1 0.8 -0.5 -0.5 1.1 1.5 -3.4 1.1 0.1 -0.8
2008 1 -3.3 4 1.7 -0.7 -1.9 0.1 0.2 0.5 4.4 -7.2 2.2 0.6
2009 -3 -2.2 2.3 0.3 3.7 1 0.1 -1.6 -0.8 -1.7 0.9 -0.9 -2.1
2010 0.9 1 0.8 -2.3 -1.1 -0.8 -0.4 -1.4 0.7 0.2 2.1 0.2 -0.2
2011 1.8 -1.5 0.9 0.4 -1.2 0.7 -0.5 -1.1 -1.4 -2.9 4.3 0 -0.6
2012 1.3 0.3 1.2 0.6 -3 3.1 -0.3 -0.3 0.6 0.8 0.3 1.1 5.8
2013 0.5 -0.1 -0.2 -0.1 -0.7 0.6 1.1 -0.7 -0.2 -0.7 0.5 0 -0.1
2014 -0.3 0.5 0.7 0.3 0.6 1 0 0.2 -1.2 2.2 -1.2 -0.7 2.1
2015 -0.9 -0.1 -1.2 1 0.5 0.8 0.2 -2.4 0.9 -0.1 0.8 -1.1 -1.7
2016 1.5 1.3 0.1 -1 0.7 0.2 -0.1 -0.6 1.1 -0.8 0 -0.5 1.9
2017 -0.1 1.6 -0.2 0 1.1 0.3 0.3 0.2 0.6 0.2 0.8 -0.3 4.5
2018 0.3 -1.9 1.1 -0.8 0.4 1 -0.7 -1.2 0.2 -0.5 0.5 0.9 -0.7
2019 0.3 0.5 1.7 -0.8 -1.5 0.4 -1.4 0.2 -1.5 1.4 -0.5 0.3 -0.9
2020 -2.2 -2.3 -4.7 -4 0.8 -0.8 -0.2 0.3 0.1 -0.8 1.3 0.4 -11.5
2021 0.8 2.4 0.1 NA NA NA NA NA NA NA NA NA 3.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-23  50.0 SPY    145. -0.0039  -0.0034   0.0094   0.0342   0.124     0.268    0.342 GLD    67.7  0.0085   0.0197
2 2007-02-26  49.9 SPY    145. -0.0009  -0.0038   0.0205   0.0322   0.125     0.269    0.324 GLD    68.1  0.0056   0.0262
3 2007-02-27  48.0 SPY    140. -0.0391  -0.0448  -0.0187  -0.0101   0.078     0.214    0.252 GLD    65.4 -0.0395   0.0015
4 2007-02-28  48.4 SPY    141.  0.0103  -0.0346  -0.0079   0.0041   0.0886    0.226    0.267 GLD    66.5  0.0164  -0.0119
5 2007-03-01  48.3 SPY    141. -0.003   -0.0367  -0.016    0.0151   0.0958    0.222    0.258 GLD    65.8 -0.0099  -0.0198
6 2007-03-02  47.7 SPY    139. -0.0131  -0.0456  -0.0353  -0.0025   0.0719    0.194    0.248 GLD    63.7 -0.0321  -0.0592
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart